IR [New] Added support of Eurex OTC CSV files [Bug] Historical contribution of bond idiosyncratic adjustments from Bloomberg was wrong [Bug] In Risk transformations, forward tenor transformations with IMM tenors could fail in Advanced projection mode EQ/FX/CO [Bug] On Phoenix deals, market data dependencies were incomplete
Common [New] In historical chart, one can now choose the market data set [Bug] Market data from local sets were not displayed in market data explorer [Bug] In Pivot table attached chart, there was an issue when changing chart type (fix required DevExpress upgrade) [Bug] Marginal allocation by Category 1 & 2 was failing IR… Read More »
Common [New] For more transparency, most static data are now visible in Market Data Viewer (e.g., Bond types) [New] Historical contribution of fixings in yield curves now fallbacks to historical fixings if missing in the feed [Bug] Portfolio view Price Details refused to compute greeks considered as not required (e.g., IR Swap gamma) [Bug] In… Read More »
Common [New] Market data in local close sets are now persisted in a local database acting as a cache [New] In SIMM Risk Explained view, it’s now possible to optimise initial margin by rebalancing risk between two counterparties [New] Added support of Leverage portfolio measure with two methods: UCITS and Bond notional equivalent [Bug] Category1… Read More »
Common [New] In market data conventions window, added an instrument details tab [New] Add a deal grouping portfolio view allowing to aggregate deals with similar characteristics. For instance IR swaps differing only in notional amount and fixed rate will be aggregated [New] FpML parsing is now much faster: ~x20, >500 deals parsed /core/second [New] In… Read More »
Common [New] Added a portfolio view to compute beta sensitivities wrt to the portfolio [New] Added support of Eurex xml file. [New] Added ability to generate a flat file row from a deal booking screen. Currently available on repo, bond and futures. Will be extended gradually. [New] Updated SDR Feeds to support new DTCC Format… Read More »
Common [New] Client clearing is now distinguished from house clearing in IM CCP portfolio view [New] Portfolio definition can now be a combination of deals from database and deals from flat files [New] Flat file Repo trade now supports haircuts [Bug] In ‘Add Deals from flat file’ view, cash product was corrupted
Common [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure. [New] Flat file now supports Repo trades as well as cash accounts [New]… Read More »
Common [New] Improved the Quick Launch functionality. Try ‘Contrib SX5E’, ‘DE0001135432’, ‘CDX.NA.IG’ [New] Added a more flexible way to define real-time feed sources. Sources set-up can be shared between users [New] Tickers defined as spreads now support different sources for each leg [Bug] InjectRawMarketData scenario failed to serialize IR [New] Added a market data analysis… Read More »
Common [New] In contribution view, created a low latency mode to trigger contribution updates every 200ms (only available with local live sets). In API mode, an ultra-low latency is also available (10ms, use with care!) [New] In the portfolio views ‘Price/greeks’ and ‘Historical price & greeks’, automatically determine and calculate all relevant greeks by default… Read More »